Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraShort Bloomberg Crude Oil backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraShort Bloomberg Crude Oil. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.2%, MDD -59.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -26.5%, drawdown -99.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.2%, MDD -59.1%, Sharpe 0.45, 8% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 35.7%p higher than buy and hold, while drawdown improves by 40.7%p (CAGR 9.2%, MDD -59.1%, exposure 8%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=62, exitN=3 |
9.2% | -59.1% | 0.45 | 0.16 | 4.8x | 72 | 8% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=17, mult=3.4 |
4.3% | -64.8% | 0.29 | 0.07 | 2.1x | 32 | 7% |
| 볼린저 밴드 돌파 n=31, k=3.2 |
4.1% | -77.5% | 0.29 | 0.05 | 2.0x | 26 | 7% |
| ADX / DI 방향성 period=18, threshold=29 |
3.6% | -60.1% | 0.28 | 0.06 | 1.9x | 26 | 5% |
| ROC 모멘텀 n=40, threshold=0 |
-7.6% | -92.7% | 0.11 | -0.08 | 0.2x | 284 | 39% |
| Parabolic SAR step=0.01, maxStep=0.04 |
-6.4% | -95.0% | 0.11 | -0.07 | 0.3x | 152 | 36% |
| EMA 크로스오버 fast=34, slow=182 |
-5.4% | -85.1% | 0.10 | -0.06 | 0.4x | 24 | 21% |
| Supertrend period=13, mult=3.5 |
-6.3% | -95.8% | 0.08 | -0.07 | 0.3x | 112 | 35% |
| SMA 크로스오버 fast=35, slow=77 |
-9.0% | -93.0% | 0.06 | -0.10 | 0.2x | 58 | 36% |
| MACD fast=13, slow=59, signal=30 |
-16.1% | -97.8% | -0.06 | -0.16 | 0.0x | 170 | 51% |
| Buy and hold | -26.5% | -99.8% | -0.09 | -0.27 | 0.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 62 days
- Sell — Sell when price breaks below the lowest low of the last 3 days